Package org.drip.feed.metric

Class FixFloatPnLAttributor

java.lang.Object
org.drip.feed.metric.FixFloatPnLAttributor
public class FixFloatPnLAttributor
extends java.lang.Object
FixFloatPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Standard OTC Fix Float Swap.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FixFloatPnLAttributor()  

  • Method Summary

    Modifier and Type Method Description
    static boolean TenorHorizonExplainComponents​(java.lang.String strCurrency, java.lang.String[] astrMaturityTenor, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor)
    Generate the Tenor Horizon Explain Components
    static java.util.List<PositionChangeComponents> TenorHorizonExplainComponents​(java.lang.String strCurrency, java.lang.String strMaturityTenor, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor)
    Generate the Explain Components for the specified Fix Float Product

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixFloatPnLAttributor

      public FixFloatPnLAttributor()

  • Method Details

    • TenorHorizonExplainComponents

      public static final java.util.List<PositionChangeComponents> TenorHorizonExplainComponents​(java.lang.String strCurrency, java.lang.String strMaturityTenor, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor)
      Generate the Explain Components for the specified Fix Float Product
      Parameters:
      strCurrency - The Fix-Float Swap Currency
      strMaturityTenor - The Fix-Float Swap Maturity Tenor
      iHorizonGap - The Valuation Horizon Gap
      strFeedTranformLocation - The Closing Funding Curve Quotes Location
      astrFundingDepositTenor - The Funding Curve Deposit Instrument Maturity Tenors
      aiFundingDepositColumn - The Funding Curve Deposit Instrument Quote Columns
      astrFundingFixFloatTenor - The Funding Curve Fix Float Swap Instrument Maturity Tenors
      aiFundingFixFloatColumn - The Funding Curve Fix Float Swap Instrument Quote Columns
      astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors
      Returns:
      List of the Position Change Components

    • TenorHorizonExplainComponents

      public static final boolean TenorHorizonExplainComponents​(java.lang.String strCurrency, java.lang.String[] astrMaturityTenor, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrFundingDepositTenor, int[] aiFundingDepositColumn, java.lang.String[] astrFundingFixFloatTenor, int[] aiFundingFixFloatColumn, java.lang.String[] astrRollDownHorizonTenor)
      Generate the Tenor Horizon Explain Components
      Parameters:
      strCurrency - The Fix-Float Swap Currency
      astrMaturityTenor - Array of Fix-Float Swap Maturity Tenors
      aiHorizonGap - Array of the Valuation Horizon Gaps
      strFeedTranformLocation - The Closing Funding Curve Quotes Location
      astrFundingDepositTenor - The Funding Curve Deposit Instrument Maturity Tenors
      aiFundingDepositColumn - The Funding Curve Deposit Instrument Quote Columns
      astrFundingFixFloatTenor - The Funding Curve Fix Float Swap Instrument Maturity Tenors
      aiFundingFixFloatColumn - The Funding Curve Fix Float Swap Instrument Quote Columns
      astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors
      Returns:
      List of the Position Change Components