Package org.drip.analytics.cashflow

Class CompositeFloatingPeriod

java.lang.Object

org.drip.analytics.cashflow.CompositePeriod

org.drip.analytics.cashflow.CompositeFloatingPeriod

public class CompositeFloatingPeriod
extends CompositePeriod

CompositeFloatingPeriod implements the Composite Floating Coupon Period Functionality. It customizes the Period Quote Set and the Basis Quote for the Floating 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

Constructor Summary

Constructors

Constructor	Description
CompositeFloatingPeriod(CompositePeriodSetting cps, java.util.List<ComposableUnitPeriod> lsCUP)	CompositeFloatingPeriod Constructor

Method Summary

Modifier and Type	Method	Description
double	basisQuote(ProductQuoteSet pqs)	Retrieve the Period Calibration Basis Quote from the specified product quote set
CompositePeriodQuoteSet	periodQuoteSet(ProductQuoteSet pqs, CurveSurfaceQuoteContainer csqs)	Retrieve the Period Calibration Quotes from the specified product quote set

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

accrualCompoundingRule, accrualDCF, accrualMetrics, baseNotional, basis, contains, couponCurrency, couponDCF, couponFactor, couponFactor, couponMetrics, couponSchedule, creditLabel, df, enclosingCUP, endDate, floaterLabel, forwardFundingPRWC, forwardPRWC, freq, fundingLabel, fundingPRWC, fx, fxFixingDate, fxLabel, fxPRWC, isFXMTM, lossMetrics, notional, notional, notionalSchedule, payCurrency, payDate, periods, periodWiseConvexityAdjustment, recovery, startDate, survival, tenor, terminalConvexityAdjustment, unitPeriodConvexityMetrics, volatilityPRWC

Methods inherited from class java.lang.Object

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

Constructor Details

CompositeFloatingPeriod

public CompositeFloatingPeriod(CompositePeriodSetting cps,
java.util.List<ComposableUnitPeriod> lsCUP)
                        throws java.lang.Exception

CompositeFloatingPeriod Constructor

Parameters:

cps - Composite Period Setting Instance

lsCUP - List of Composable Unit Fixed Periods

Throws:

java.lang.Exception - Thrown if the Accrual Compounding Rule is invalid

Method Details

periodQuoteSet

public CompositePeriodQuoteSet periodQuoteSet(ProductQuoteSet pqs,
CurveSurfaceQuoteContainer csqs)

Description copied from class: CompositePeriod

Retrieve the Period Calibration Quotes from the specified product quote set

Specified by:

periodQuoteSet in class CompositePeriod

Parameters:

pqs - The Product Quote Set

csqs - The Market Curve Surface/Quote Set

Returns:

The Composed Period Quote Set

basisQuote

public double basisQuote(ProductQuoteSet pqs)

Description copied from class: CompositePeriod

Retrieve the Period Calibration Basis Quote from the specified product quote set

Specified by:

basisQuote in class CompositePeriod

Parameters:

pqs - The Product Quote Set

Returns:

The Period Calibration Basis Quote