org.drip.service.template

Class OTCInstrumentBuilder

java.lang.Object

org.drip.service.template.OTCInstrumentBuilder

public class OTCInstrumentBuilder
extends java.lang.Object

OTCInstrumentBuilder contains static Helper API to facilitate Construction of OTC Instruments.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OTCInstrumentBuilder()

Method Summary

Modifier and Type	Method and Description
static FRAStandardCapFloor[]	CapFloor(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrMaturityTenor, double[] adblStrike, boolean bIsCap) Construct an Instance of the Standard OTC FRA Cap/Floor
static FRAStandardCapFloor	CapFloor(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String strMaturityTenor, double dblStrike, boolean bIsCap) Construct an Instance of the Standard OTC FRA Cap/Floor
static CreditDefaultSwap[]	CDS(JulianDate dtSpot, java.lang.String[] astrMaturityTenor, double[] adblCoupon, java.lang.String strCurrency, java.lang.String strCredit) Create an Array of the OTC CDS Instance.
static CreditDefaultSwap	CDS(JulianDate dtSpot, java.lang.String strMaturityTenor, double dblCoupon, java.lang.String strCurrency, java.lang.String strCredit) Create an Instance of the OTC CDS.
static FixFloatComponent	FixFloatCustom(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String strMaturityTenor) Construct a Standard Fix Float Swap Instances
static FixFloatComponent[]	FixFloatCustom(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrMaturityTenor) Construct an Array of Custom Fix Float Swap Instances
static FixFloatComponent[]	FixFloatStandard(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strLocation, java.lang.String[] astrMaturityTenor, java.lang.String strIndex, double dblCoupon) Construct an Array of OTC Fix Float Swaps using the specified Input Parameters
static FixFloatComponent	FixFloatStandard(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strLocation, java.lang.String strMaturityTenor, java.lang.String strIndex, double dblCoupon) Construct an OTC Standard Fix Float Swap using the specified Input Parameters
static FloatFloatComponent[]	FloatFloat(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strDerivedTenor, java.lang.String[] astrMaturityTenor, double dblBasis) Construct an Array of OTC Float-Float Swap Instances
static FloatFloatComponent	FloatFloat(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strDerivedTenor, java.lang.String strMaturityTenor, double dblBasis) Construct an OTC Float-Float Swap Instance
static SingleStreamComponent[]	ForwardRateDeposit(JulianDate dtSpot, java.lang.String[] astrMaturityTenor, ForwardLabel forwardLabel) Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors
static SingleStreamComponent	ForwardRateDeposit(JulianDate dtSpot, java.lang.String strMaturityTenor, ForwardLabel forwardLabel) Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor
static FRAStandardComponent[]	FRAStandard(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String[] astrMaturityTenor, double[] adblFRAStrike) Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike
static FRAStandardComponent	FRAStandard(JulianDate dtSpot, ForwardLabel forwardLabel, java.lang.String strMaturityTenor, double dblStrike) Create a Standard FRA from the Spot Date, the Forward Label, and the Strike
static SingleStreamComponent	FundingDeposit(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strMaturityTenor) Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor
static SingleStreamComponent[]	FundingDeposit(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrMaturityTenor) Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors
static FXForwardComponent	FXForward(JulianDate dtSpot, CurrencyPair ccyPair, java.lang.String strMaturityTenor) Create an OTC FX Forward Component
static FXForwardComponent[]	FXForward(JulianDate dtSpot, CurrencyPair ccyPair, java.lang.String[] astrMaturityTenor) Create an Array of OTC FX Forward Components
static FixFloatComponent[]	OISFixFloat(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrMaturityTenor, double[] adblCoupon, boolean bFund) Construct an Array of OTC Fix Float OIS Instances
static FixFloatComponent	OISFixFloat(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strMaturityTenor, double dblCoupon, boolean bFund) Construct an Instance of OTC OIS Fix Float Swap
static FixFloatComponent[]	OISFixFloatFutures(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrEffectiveTenor, java.lang.String[] astrMaturityTenor, double[] adblCoupon, boolean bFund) Construct an Array of OTC OIS Fix-Float Futures
static SingleStreamComponent	OvernightDeposit(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String strMaturityTenor) Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor
static SingleStreamComponent[]	OvernightDeposit(JulianDate dtSpot, java.lang.String strCurrency, java.lang.String[] astrMaturityTenor) Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors

Methods inherited from class java.lang.Object

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

Constructor Detail

OTCInstrumentBuilder

public OTCInstrumentBuilder()

Method Detail

FundingDeposit

public static final SingleStreamComponent FundingDeposit(JulianDate dtSpot,
                                                         java.lang.String strCurrency,
                                                         java.lang.String strMaturityTenor)

Construct an OTC Funding Deposit Instrument from the Spot Date and the Maturity Tenor

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

strMaturityTenor - The Maturity Tenor

Returns:

Funding Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

ForwardRateDeposit

public static final SingleStreamComponent ForwardRateDeposit(JulianDate dtSpot,
                                                             java.lang.String strMaturityTenor,
                                                             ForwardLabel forwardLabel)

Construct an OTC Forward Deposit Instrument from Spot Date and the Maturity Tenor

Parameters:

dtSpot - The Spot Date

strMaturityTenor - The Maturity Tenor

forwardLabel - The Forward Label

Returns:

Forward Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

OvernightDeposit

public static final SingleStreamComponent OvernightDeposit(JulianDate dtSpot,
                                                           java.lang.String strCurrency,
                                                           java.lang.String strMaturityTenor)

Construct an OTC Overnight Deposit Instrument from the Spot Date and the Maturity Tenor

Parameters:

dtSpot - The Spot Date

strCurrency - Currency

strMaturityTenor - The Maturity Tenor

Returns:

Overnight Deposit Instrument Instance from the Spot Date and the corresponding Maturity Tenor

FRAStandard

public static final FRAStandardComponent FRAStandard(JulianDate dtSpot,
                                                     ForwardLabel forwardLabel,
                                                     java.lang.String strMaturityTenor,
                                                     double dblStrike)

Create a Standard FRA from the Spot Date, the Forward Label, and the Strike

Parameters:

dtSpot - Spot Date

forwardLabel - The Forward Label

strMaturityTenor - Maturity Tenor

dblStrike - Futures Strike

Returns:

The Standard FRA Instance

FixFloatStandard

public static final FixFloatComponent FixFloatStandard(JulianDate dtSpot,
                                                       java.lang.String strCurrency,
                                                       java.lang.String strLocation,
                                                       java.lang.String strMaturityTenor,
                                                       java.lang.String strIndex,
                                                       double dblCoupon)

Construct an OTC Standard Fix Float Swap using the specified Input Parameters

Parameters:

dtSpot - The Spot Date

strCurrency - The OTC Currency

strLocation - Location

strMaturityTenor - Maturity Tenor

strIndex - Index

dblCoupon - Coupon

Returns:

The OTC Standard Fix Float Swap constructed using the specified Input Parameters

FixFloatCustom

public static final FixFloatComponent FixFloatCustom(JulianDate dtSpot,
                                                     ForwardLabel forwardLabel,
                                                     java.lang.String strMaturityTenor)

Construct a Standard Fix Float Swap Instances

Parameters:

dtSpot - The Spot Date

forwardLabel - The Forward Label

strMaturityTenor - Maturity Tenor

Returns:

A Standard Fix Float Swap Instances

OISFixFloat

public static final FixFloatComponent OISFixFloat(JulianDate dtSpot,
                                                  java.lang.String strCurrency,
                                                  java.lang.String strMaturityTenor,
                                                  double dblCoupon,
                                                  boolean bFund)

Construct an Instance of OTC OIS Fix Float Swap

Parameters:

dtSpot - Spot Date

strCurrency - Currency

strMaturityTenor - The OIS Maturity Tenor

dblCoupon - The Fixed Coupon Rate

bFund - TRUE - Floater Based off of Fund

Returns:

Instance of OIS Fix Float Swap

FloatFloat

public static final FloatFloatComponent FloatFloat(JulianDate dtSpot,
                                                   java.lang.String strCurrency,
                                                   java.lang.String strDerivedTenor,
                                                   java.lang.String strMaturityTenor,
                                                   double dblBasis)

Construct an OTC Float-Float Swap Instance

Parameters:

dtSpot - Spot Date

strCurrency - Currency

strDerivedTenor - Tenor of the Derived Leg

strMaturityTenor - Maturity Tenor of the Float-Float Swap

dblBasis - The Float-Float Swap Basis

Returns:

The OTC Float-Float Swap Instance

CDS

public static final CreditDefaultSwap CDS(JulianDate dtSpot,
                                          java.lang.String strMaturityTenor,
                                          double dblCoupon,
                                          java.lang.String strCurrency,
                                          java.lang.String strCredit)

Create an Instance of the OTC CDS.

Parameters:

dtSpot - The Spot Date

strMaturityTenor - Maturity Tenor

dblCoupon - Coupon

strCurrency - Currency

strCredit - Credit Curve

Returns:

The OTC CDS Instance

FXForward

public static final FXForwardComponent FXForward(JulianDate dtSpot,
                                                 CurrencyPair ccyPair,
                                                 java.lang.String strMaturityTenor)

Create an OTC FX Forward Component

Parameters:

dtSpot - Spot Date

ccyPair - Currency Pair

strMaturityTenor - Maturity Tenor

Returns:

The OTC FX Forward Component Instance

FundingDeposit

public static final SingleStreamComponent[] FundingDeposit(JulianDate dtSpot,
                                                           java.lang.String strCurrency,
                                                           java.lang.String[] astrMaturityTenor)

Construct an Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrMaturityTenor - Array of Maturity Tenors

Returns:

Array of OTC Funding Deposit Instruments from their corresponding Maturity Tenors

ForwardRateDeposit

public static final SingleStreamComponent[] ForwardRateDeposit(JulianDate dtSpot,
                                                               java.lang.String[] astrMaturityTenor,
                                                               ForwardLabel forwardLabel)

Construct an Array of OTC Forward Deposit Instruments from the corresponding Maturity Tenors

Parameters:

dtSpot - Spot Date

astrMaturityTenor - Array of Maturity Tenors

forwardLabel - The Forward Label

Returns:

Forward Deposit Instrument Instance from the corresponding Maturity Tenor

OvernightDeposit

public static final SingleStreamComponent[] OvernightDeposit(JulianDate dtSpot,
                                                             java.lang.String strCurrency,
                                                             java.lang.String[] astrMaturityTenor)

Construct an Array of OTC Overnight Deposit Instrument from their Maturity Tenors

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrMaturityTenor - Array of Maturity Tenor

Returns:

Array of Overnight Deposit Instrument from their Maturity Tenors

FRAStandard

public static final FRAStandardComponent[] FRAStandard(JulianDate dtSpot,
                                                       ForwardLabel forwardLabel,
                                                       java.lang.String[] astrMaturityTenor,
                                                       double[] adblFRAStrike)

Create an Array of Standard FRAs from the Spot Date, the Forward Label, and the Strike

Parameters:

dtSpot - Spot Date

forwardLabel - The Forward Label

astrMaturityTenor - Array of Maturity Tenors

adblFRAStrike - Array of FRA Strikes

Returns:

Array of Standard FRA Instances

FixFloatStandard

public static final FixFloatComponent[] FixFloatStandard(JulianDate dtSpot,
                                                         java.lang.String strCurrency,
                                                         java.lang.String strLocation,
                                                         java.lang.String[] astrMaturityTenor,
                                                         java.lang.String strIndex,
                                                         double dblCoupon)

Construct an Array of OTC Fix Float Swaps using the specified Input Parameters

Parameters:

dtSpot - The Spot Date

strCurrency - The OTC Currency

strLocation - Location

astrMaturityTenor - Array of Maturity Tenors

strIndex - Index

dblCoupon - Coupon

Returns:

The Array of OTC Fix Float Swaps

FixFloatCustom

public static final FixFloatComponent[] FixFloatCustom(JulianDate dtSpot,
                                                       ForwardLabel forwardLabel,
                                                       java.lang.String[] astrMaturityTenor)

Construct an Array of Custom Fix Float Swap Instances

Parameters:

dtSpot - The Spot Date

forwardLabel - The Forward Label

astrMaturityTenor - Array of Maturity Tenors

Returns:

Array of Custom Fix Float Swap Instances

OISFixFloat

public static final FixFloatComponent[] OISFixFloat(JulianDate dtSpot,
                                                    java.lang.String strCurrency,
                                                    java.lang.String[] astrMaturityTenor,
                                                    double[] adblCoupon,
                                                    boolean bFund)

Construct an Array of OTC Fix Float OIS Instances

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrMaturityTenor - Array of OIS Maturity Tenors

adblCoupon - OIS Fixed Rate Coupon

bFund - TRUE - Floater Based off of Fund

Returns:

Array of Fix Float OIS Instances

OISFixFloatFutures

public static final FixFloatComponent[] OISFixFloatFutures(JulianDate dtSpot,
                                                           java.lang.String strCurrency,
                                                           java.lang.String[] astrEffectiveTenor,
                                                           java.lang.String[] astrMaturityTenor,
                                                           double[] adblCoupon,
                                                           boolean bFund)

Construct an Array of OTC OIS Fix-Float Futures

Parameters:

dtSpot - Spot Date

strCurrency - Currency

astrEffectiveTenor - Array of Effective Tenors

astrMaturityTenor - Array of Maturity Tenors

adblCoupon - Array of Coupons

bFund - TRUE - Floater Based off of Fund

Returns:

Array of OIS Fix-Float Futures

FloatFloat

public static final FloatFloatComponent[] FloatFloat(JulianDate dtSpot,
                                                     java.lang.String strCurrency,
                                                     java.lang.String strDerivedTenor,
                                                     java.lang.String[] astrMaturityTenor,
                                                     double dblBasis)

Construct an Array of OTC Float-Float Swap Instances

Parameters:

dtSpot - Spot Date

strCurrency - Currency

strDerivedTenor - Tenor of the Derived Leg

astrMaturityTenor - Array of the Float-Float Swap Maturity Tenors

dblBasis - The Float-Float Swap Basis

Returns:

Array of OTC Float-Float Swap Instances

CDS

public static final CreditDefaultSwap[] CDS(JulianDate dtSpot,
                                            java.lang.String[] astrMaturityTenor,
                                            double[] adblCoupon,
                                            java.lang.String strCurrency,
                                            java.lang.String strCredit)

Create an Array of the OTC CDS Instance.

Parameters:

dtSpot - Spot Date

astrMaturityTenor - Array of Maturity Tenors

adblCoupon - Array of Coupon

strCurrency - Currency

strCredit - Credit Curve

Returns:

Array of OTC CDS Instances

FXForward

public static final FXForwardComponent[] FXForward(JulianDate dtSpot,
                                                   CurrencyPair ccyPair,
                                                   java.lang.String[] astrMaturityTenor)

Create an Array of OTC FX Forward Components

Parameters:

dtSpot - Spot Date

ccyPair - Currency Pair

astrMaturityTenor - Array of Maturity Tenors

Returns:

Array of OTC FX Forward Component Instances

CapFloor

public static final FRAStandardCapFloor CapFloor(JulianDate dtSpot,
                                                 ForwardLabel forwardLabel,
                                                 java.lang.String strMaturityTenor,
                                                 double dblStrike,
                                                 boolean bIsCap)

Construct an Instance of the Standard OTC FRA Cap/Floor

Parameters:

dtSpot - Spot Date

forwardLabel - The Forward Label

strMaturityTenor - Cap/Floor Maturity Tenor

dblStrike - Cap/Floor Strike

bIsCap - TRUE - Contract is a Cap

Returns:

The Cap/Floor Instance

CapFloor

public static final FRAStandardCapFloor[] CapFloor(JulianDate dtSpot,
                                                   ForwardLabel forwardLabel,
                                                   java.lang.String[] astrMaturityTenor,
                                                   double[] adblStrike,
                                                   boolean bIsCap)

Construct an Instance of the Standard OTC FRA Cap/Floor

Parameters:

dtSpot - Spot Date

forwardLabel - The Forward Label

astrMaturityTenor - Array of Cap/Floor Maturity Tenors

adblStrike - Array of Cap/Floor Strikes

bIsCap - TRUE - Contract is a Cap

Returns:

The Cap/Floor Instance