Package org.drip.feed.metric

Class TreasuryBondPnLAttributor

java.lang.Object
org.drip.feed.metric.TreasuryBondPnLAttributor
public class TreasuryBondPnLAttributor
extends java.lang.Object
TreasuryBondPnLAttributor generates the Date Valuation and Position Change PnL Explain Attributions for the Specified Treasury Bond.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryBondPnLAttributor()  

  • Method Summary

    Modifier and Type Method Description
    static boolean TenorHorizonExplainComponents​(java.lang.String[] astrMaturityTenor, java.lang.String strCode, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor)
    Generate the Tenor Horizon Explain Components
    static java.util.List<PositionChangeComponents> TenorHorizonExplainComponents​(java.lang.String strMaturityTenor, java.lang.String strCode, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor)
    Generate the Explain Components for the specified Treasury Bond

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TreasuryBondPnLAttributor

      public TreasuryBondPnLAttributor()

  • Method Details

    • TenorHorizonExplainComponents

      public static final java.util.List<PositionChangeComponents> TenorHorizonExplainComponents​(java.lang.String strMaturityTenor, java.lang.String strCode, int iHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor)
      Generate the Explain Components for the specified Treasury Bond
      Parameters:
      strMaturityTenor - Treasury Bond Maturity Tenor
      strCode - Treasury Bond Code
      iHorizonGap - The Valuation Horizon Gap
      strFeedTranformLocation - The Closing Funding Curve Quotes Location
      astrGovvieTreasuryTenor - The Govvie Curve Treasury Bond Maturity Tenors
      aiGovvieTreasuryColumn - The Govvie Curve Treasury Bond 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[] astrMaturityTenor, java.lang.String strCode, int[] aiHorizonGap, java.lang.String strFeedTranformLocation, java.lang.String[] astrGovvieTreasuryTenor, int[] aiGovvieTreasuryColumn, java.lang.String[] astrRollDownHorizonTenor)
      Generate the Tenor Horizon Explain Components
      Parameters:
      astrMaturityTenor - Array of Treasury Bond Maturity Tenors
      strCode - Treasury Bond Code
      aiHorizonGap - Array of the Valuation Horizon Gaps
      strFeedTranformLocation - The Closing Funding Curve Quotes Location
      astrGovvieTreasuryTenor - The Govvie Curve Treasury Bond Maturity Tenors
      aiGovvieTreasuryColumn - The Govvie Curve Treasury Bond Maturity Columns
      astrRollDownHorizonTenor - Array of the Roll Down Horizon Tenors
      Returns:
      TRUE - The Treasury Bond Tenor Explain Components Successfully generated