Package org.drip.feed.transformer

Class TreasuryFuturesClosesReconstitutor

java.lang.Object

org.drip.feed.transformer.TreasuryFuturesClosesReconstitutor

public class TreasuryFuturesClosesReconstitutor
extends java.lang.Object

TreasuryFuturesClosesReconstitutor transforms the Treasury Futures Closes- Feed Inputs into Formats suitable for Valuation Metrics and Sensitivities Generation.

• Module = Computational Core Module
• Library = Computation Support
• Project = Load, Transform, and compute Target Metrics across Feeds
• Package = Market Data Reconstitutive Feed Transformer

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TreasuryFuturesClosesReconstitutor()

Method Summary

Modifier and Type	Method	Description
static boolean	RegularizeCloses(java.lang.String strClosesLocation, int iSpotDateIndex, int iConversionFactorIndex, int iCleanPriceIndex, int iCTDCouponIndex, int iEffectiveDateIndex, int iMaturityDateIndex, int iExpiryProxyIndex)	Regularize the Treasury Feed Closes
static boolean	USTRegularizeCloses(java.lang.String strClosesLocation)	Regularize the UST Futures Closes Feed

Methods inherited from class java.lang.Object

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

Constructor Details

TreasuryFuturesClosesReconstitutor

public TreasuryFuturesClosesReconstitutor()

Method Details

RegularizeCloses

public static final boolean RegularizeCloses(java.lang.String strClosesLocation,
int iSpotDateIndex,
int iConversionFactorIndex,
int iCleanPriceIndex,
int iCTDCouponIndex,
int iEffectiveDateIndex,
int iMaturityDateIndex,
int iExpiryProxyIndex)

Regularize the Treasury Feed Closes

Parameters:

strClosesLocation - The Closes Location

iSpotDateIndex - Spot Date Column Index

iConversionFactorIndex - Conversion Factor Column Index

iCleanPriceIndex - Clean Price Column Index

iCTDCouponIndex - CTD Coupon Column Index

iEffectiveDateIndex - Effective Date Column Index

iMaturityDateIndex - Maturity Date Column Index

iExpiryProxyIndex - Expiry Proxy Column Index

Returns:

TRUE - The Regularization Successful

USTRegularizeCloses

public static final boolean USTRegularizeCloses(java.lang.String strClosesLocation)

Regularize the UST Futures Closes Feed

Parameters:

strClosesLocation - The UST Futures Closes Feed Location

Returns:

TRUE - Regularization Successful