Package org.drip.analytics.cashflow

Class ComposableUnitFixedPeriod

java.lang.Object

org.drip.analytics.cashflow.ComposableUnitPeriod

org.drip.analytics.cashflow.ComposableUnitFixedPeriod

public class ComposableUnitFixedPeriod
extends ComposableUnitPeriod

ComposableUnitFixedPeriod represents the Fixed Cash Flow Periods' Composable Period Details. Currently it holds the Accrual Start Date, the Accrual End Date, the Fixed Coupon, the Basis Spread, the Coupon Rate, and the Accrual Day Counts, as well as the EOM Adjustment Flags.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = Date, Cash Flow, and Cash Flow Period Measure Generation Utilities
• Package = Unit and Composite Cash Flow Periods

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.analytics.cashflow.ComposableUnitPeriod

NODE_INSIDE_SEGMENT, NODE_LEFT_OF_SEGMENT, NODE_RIGHT_OF_SEGMENT

Constructor Summary

Constructors

Constructor	Description
ComposableUnitFixedPeriod(int iStartDate, int iEndDate, UnitCouponAccrualSetting ucas, ComposableFixedUnitSetting cfus)	The ComposableUnitFixedPeriod constructor

Method Summary

Modifier and Type	Method	Description
double	baseRate(CurveSurfaceQuoteContainer csqc)	Get the Period Base Coupon Rate
double	basis()	Get the Period Coupon Basis
java.lang.String	couponCurrency()	Get the Period Coupon Currency

Methods inherited from class org.drip.analytics.cashflow.ComposableUnitPeriod

accrualCompoundingRule, accrualDC, accrualDCF, accrualEOMAdjustment, calendar, couponDC, couponDCFOffOfFreq, couponEOMAdjustment, dateLocation, endDate, freq, fullCouponDCF, fullCouponRate, startDate, tenor

Methods inherited from class java.lang.Object

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

Constructor Details

ComposableUnitFixedPeriod

public ComposableUnitFixedPeriod(int iStartDate,
int iEndDate,
UnitCouponAccrualSetting ucas,
ComposableFixedUnitSetting cfus)
                          throws java.lang.Exception

The ComposableUnitFixedPeriod constructor

Parameters:

iStartDate - Accrual Start Date

iEndDate - Accrual End Date

ucas - Unit Coupon/Accrual Setting

cfus - Composable Unit Fixed Setting

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

baseRate

public double baseRate(CurveSurfaceQuoteContainer csqc)
                throws java.lang.Exception

Description copied from class: ComposableUnitPeriod

Get the Period Base Coupon Rate

Specified by:

baseRate in class ComposableUnitPeriod

Parameters:

csqc - The Market Curve and Surface

Returns:

The Period Base Coupon Rate

Throws:

java.lang.Exception - Thrown if the base Coupon Rate cannot be calculated

basis

public double basis()

Description copied from class: ComposableUnitPeriod

Get the Period Coupon Basis

Specified by:

basis in class ComposableUnitPeriod

Returns:

The Period Coupon Basis

couponCurrency

public java.lang.String couponCurrency()

Description copied from class: ComposableUnitPeriod

Get the Period Coupon Currency

Specified by:

couponCurrency in class ComposableUnitPeriod

Returns:

The Period Coupon Currency