Package org.drip.analytics.cashflow

Class ComposableUnitFloatingPeriod

java.lang.Object

org.drip.analytics.cashflow.ComposableUnitPeriod

org.drip.analytics.cashflow.ComposableUnitFloatingPeriod

public class ComposableUnitFloatingPeriod
extends ComposableUnitPeriod

ComposableUnitFloatingPeriod contains the Floating Cash Flow Periods' Composable Period Details. Currently it holds the Accrual Start Date, the Accrual End Date, the Fixing Date, the Spread over the Index, and the corresponding Reference Index Period.

• 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
ComposableUnitFloatingPeriod(int iStartDate, int iEndDate, java.lang.String strTenor, ReferenceIndexPeriod rip, double dblSpread)	The ComposableUnitFloatingPeriod Constructor

Method Summary

Modifier and Type	Method	Description
double	baseRate(CurveSurfaceQuoteContainer csqc)	Retrieve the Reference Rate for the Floating Period
double	basis()	Get the Period Coupon Basis
java.lang.String	couponCurrency()	Get the Period Coupon Currency
ReferenceIndexPeriod	referenceIndexPeriod()	Retrieve the Reference Index Period

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

ComposableUnitFloatingPeriod

public ComposableUnitFloatingPeriod(int iStartDate,
int iEndDate,
java.lang.String strTenor,
ReferenceIndexPeriod rip,
double dblSpread)
                             throws java.lang.Exception

The ComposableUnitFloatingPeriod Constructor

Parameters:

iStartDate - Accrual Start Date

iEndDate - Accrual End Date

strTenor - The Composable Period Tenor

rip - The Reference Index Period

dblSpread - The Floater Spread

Throws:

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

Method Details

baseRate

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

Retrieve the Reference Rate for the Floating Period

Specified by:

baseRate in class ComposableUnitPeriod

Parameters:

csqc - The Market Curve and Surface

Returns:

The Reference Rate for the Floating Period

Throws:

java.lang.Exception - Thrown if the inputs are invalid

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

referenceIndexPeriod

public ReferenceIndexPeriod referenceIndexPeriod()

Retrieve the Reference Index Period

Returns:

The Reference Index Period