org.drip.service.product

Class TreasuryFuturesAPI

java.lang.Object

org.drip.service.product.TreasuryFuturesAPI

public class TreasuryFuturesAPI
extends java.lang.Object

TreasuryFuturesAPI demonstrates the Details behind the Pricing and the Scenario Runs behind a Treasury Futures Contract.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
TreasuryFuturesAPI()

Method Summary

Modifier and Type	Method and Description
static java.util.List<PositionChangeComponents>	HorizonChangeAttribution(java.lang.String strTreasuryCode, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, double[] adblConversionFactor) Returns Attribution for the Treasury Futures
static java.util.List<TenorDurationNodeMetrics>	HorizonKeyRateDuration(java.lang.String strTreasuryType, JulianDate[] adtEffective, JulianDate[] adtMaturity, double[] adblCoupon, JulianDate[] adtExpiry, JulianDate[] adtSpot, double[] adblCleanPrice, java.lang.String[] astrBenchmarkTenor, double[][] aadblGovvieCurveTreasuryYield) Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration
static java.util.Map<java.lang.String,java.lang.Double>	KeyRateDuration(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice) Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration
static java.util.Map<java.lang.String,java.lang.Double>	ValuationMetrics(java.lang.String strFuturesCode, int[] aiFuturesComponentTreasuryEffectiveDate, int[] aiFuturesComponentTreasuryMaturityDate, double[] adblFuturesComponentTreasuryCoupon, double[] adblFuturesComponentConversionFactor, int iSpotDate, java.lang.String[] astrFundingCurveDepositTenor, double[] adblFundingCurveDepositQuote, java.lang.String strFundingCurveDepositMeasure, double[] adblFundingCurveFuturesQuote, java.lang.String strFundingCurveFuturesMeasure, java.lang.String[] astrFundingCurveFixFloatTenor, double[] adblFundingCurveFixFloatQuote, java.lang.String strFundingFixFloatMeasure, int[] aiGovvieCurveTreasuryEffectiveDate, int[] aiGovvieCurveTreasuryMaturityDate, double[] adblGovvieCurveTreasuryCoupon, double[] adblGovvieCurveTreasuryYield, java.lang.String strGovvieCurveTreasuryMeasure, double[] adblFuturesComponentTreasuryPrice) Generate a Full Map Invocation of the Treasury Futures Run Use Case

Methods inherited from class java.lang.Object

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

Constructor Detail

TreasuryFuturesAPI

public TreasuryFuturesAPI()

Method Detail

ValuationMetrics

public static final java.util.Map<java.lang.String,java.lang.Double> ValuationMetrics(java.lang.String strFuturesCode,
                                                                                      int[] aiFuturesComponentTreasuryEffectiveDate,
                                                                                      int[] aiFuturesComponentTreasuryMaturityDate,
                                                                                      double[] adblFuturesComponentTreasuryCoupon,
                                                                                      double[] adblFuturesComponentConversionFactor,
                                                                                      int iSpotDate,
                                                                                      java.lang.String[] astrFundingCurveDepositTenor,
                                                                                      double[] adblFundingCurveDepositQuote,
                                                                                      java.lang.String strFundingCurveDepositMeasure,
                                                                                      double[] adblFundingCurveFuturesQuote,
                                                                                      java.lang.String strFundingCurveFuturesMeasure,
                                                                                      java.lang.String[] astrFundingCurveFixFloatTenor,
                                                                                      double[] adblFundingCurveFixFloatQuote,
                                                                                      java.lang.String strFundingFixFloatMeasure,
                                                                                      int[] aiGovvieCurveTreasuryEffectiveDate,
                                                                                      int[] aiGovvieCurveTreasuryMaturityDate,
                                                                                      double[] adblGovvieCurveTreasuryCoupon,
                                                                                      double[] adblGovvieCurveTreasuryYield,
                                                                                      java.lang.String strGovvieCurveTreasuryMeasure,
                                                                                      double[] adblFuturesComponentTreasuryPrice)

Generate a Full Map Invocation of the Treasury Futures Run Use Case

Parameters:

strFuturesCode - The Treasury Futures Code

aiFuturesComponentTreasuryEffectiveDate - Array of the Treasury Futures Component Effective Date

aiFuturesComponentTreasuryMaturityDate - Array of the Treasury Futures Component Maturity Date

adblFuturesComponentTreasuryCoupon - Array of the Treasury Futures Component Coupon

adblFuturesComponentConversionFactor - Array of the Treasury Futures Component Conversion Factor

iSpotDate - Spot Date

astrFundingCurveDepositTenor - Deposit Instruments Tenor (for Funding Curve)

adblFundingCurveDepositQuote - Deposit Instruments Quote (for Funding Curve)

strFundingCurveDepositMeasure - Deposit Instruments Measure (for Funding Curve)

adblFundingCurveFuturesQuote - Futures Instruments Tenor (for Funding Curve)

strFundingCurveFuturesMeasure - Futures Instruments Measure (for Funding Curve)

astrFundingCurveFixFloatTenor - Fix-Float Instruments Tenor (for Funding Curve)

adblFundingCurveFixFloatQuote - Fix-Float Instruments Quote (for Funding Curve)

strFundingFixFloatMeasure - Fix-Float Instruments Tenor (for Funding Curve)

aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)

aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)

adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)

adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)

adblFuturesComponentTreasuryPrice - Array of the Treasury Futures Component Clean Prices

Returns:

The Output Measure Map

KeyRateDuration

public static final java.util.Map<java.lang.String,java.lang.Double> KeyRateDuration(java.lang.String strFuturesCode,
                                                                                     int[] aiFuturesComponentTreasuryEffectiveDate,
                                                                                     int[] aiFuturesComponentTreasuryMaturityDate,
                                                                                     double[] adblFuturesComponentTreasuryCoupon,
                                                                                     double[] adblFuturesComponentConversionFactor,
                                                                                     int iSpotDate,
                                                                                     int[] aiGovvieCurveTreasuryEffectiveDate,
                                                                                     int[] aiGovvieCurveTreasuryMaturityDate,
                                                                                     double[] adblGovvieCurveTreasuryCoupon,
                                                                                     double[] adblGovvieCurveTreasuryYield,
                                                                                     java.lang.String strGovvieCurveTreasuryMeasure,
                                                                                     double[] adblFuturesComponentTreasuryPrice)

Generate the Treasury Curve Tenor Key Rate Sensitivity/Duration

Parameters:

strFuturesCode - The Treasury Futures Code

aiFuturesComponentTreasuryEffectiveDate - Array of the Treasury Futures Component Effective Date

aiFuturesComponentTreasuryMaturityDate - Array of the Treasury Futures Component Maturity Date

adblFuturesComponentTreasuryCoupon - Array of the Treasury Futures Component Coupon

adblFuturesComponentConversionFactor - Array of the Treasury Futures Component Conversion Factor

iSpotDate - Spot Date

aiGovvieCurveTreasuryEffectiveDate - Array of the Treasury Instrument Effective Date (for Treasury Curve)

aiGovvieCurveTreasuryMaturityDate - Array of the Treasury Instrument Maturity Date (for Treasury Curve)

adblGovvieCurveTreasuryCoupon - Array of the Treasury Instrument Coupon (for Treasury Curve)

adblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

strGovvieCurveTreasuryMeasure - Treasury Instrument Measure (for Govvie Curve)

adblFuturesComponentTreasuryPrice - Array of the Treasury Futures Component Clean Prices

Returns:

The Treasury Curve Tenor Sensitivity/Duration

HorizonChangeAttribution

public static final java.util.List<PositionChangeComponents> HorizonChangeAttribution(java.lang.String strTreasuryCode,
                                                                                      JulianDate[] adtEffective,
                                                                                      JulianDate[] adtMaturity,
                                                                                      double[] adblCoupon,
                                                                                      JulianDate[] adtExpiry,
                                                                                      JulianDate[] adtSpot,
                                                                                      double[] adblCleanPrice,
                                                                                      double[] adblConversionFactor)

Returns Attribution for the Treasury Futures

Parameters:

strTreasuryCode - The Treasury Code

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adtExpiry - Array of Futures Expiry Dates

adtSpot - Array of Spot Dates

adblCleanPrice - Array of Closing Clean Prices

adblConversionFactor - Array of the Conversion Factor

Returns:

List of the Position Change Components

HorizonKeyRateDuration

public static final java.util.List<TenorDurationNodeMetrics> HorizonKeyRateDuration(java.lang.String strTreasuryType,
                                                                                    JulianDate[] adtEffective,
                                                                                    JulianDate[] adtMaturity,
                                                                                    double[] adblCoupon,
                                                                                    JulianDate[] adtExpiry,
                                                                                    JulianDate[] adtSpot,
                                                                                    double[] adblCleanPrice,
                                                                                    java.lang.String[] astrBenchmarkTenor,
                                                                                    double[][] aadblGovvieCurveTreasuryYield)

Generate the Horizon Treasury Curve Tenor Key Rate Sensitivity/Duration

Parameters:

strTreasuryType - The Treasury Type

adtEffective - Array of Effective Dates

adtMaturity - Array of Maturity Dates

adblCoupon - Array of Coupons

adtExpiry - Array of Futures Expiry Dates

adtSpot - Array of Spot Dates

adblCleanPrice - Array of Closing Clean Prices

astrBenchmarkTenor - Array of Benchmark Tenors

aadblGovvieCurveTreasuryYield - Array of the Treasury Instrument Yield (for Treasury Curve)

Returns:

The Treasury Curve Tenor Sensitivity/Duration