Package org.drip.historical.attribution

Class TreasuryFuturesMarketSnap

java.lang.Object

org.drip.historical.attribution.PositionMarketSnap

org.drip.historical.attribution.TreasuryFuturesMarketSnap

public class TreasuryFuturesMarketSnap
extends PositionMarketSnap

TreasuryFuturesMarketSnap contains the Metrics Snapshot associated with the relevant Manifest Measures for the given Treasury Futures Position.

• Module = Computational Core Module
• Library = Computation Support
• Project = Historical State Processing Utilities
• Package = Position Market Change Components Attribution

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
TreasuryFuturesMarketSnap(JulianDate dtSnap, double dblMarketValue)	TreasuryFuturesMarketSnap Constructor

Method Summary

Modifier and Type	Method	Description
double	conversionFactor()	Retrieve the CTD Conversion Factor at Expiry
java.lang.String	ctdName()	Retrieve the CTD Name
double	expiryCleanPrice()	Retrieve the Clean Price at Expiry
JulianDate	expiryDate()	Retrieve the Expiry Date
boolean	setCleanExpiryPrice(double dblExpiryCleanPrice)	Set the Clean Expiry Price
boolean	setConversionFactor(double dblConversionFactor)	Set the CTD Conversion Factor at Expiry
boolean	setCTDName(java.lang.String strCTDName)	Set the CTD Bond Name
boolean	setExpiryDate(JulianDate dtExpiry)	Set the Expiry Date
boolean	setYieldMarketFactor(double dblYield, double dblYieldSensitivity, double dblYieldRollDown)	Set the Yield Level and Position Sensitivity

Methods inherited from class org.drip.historical.attribution.PositionMarketSnap

addManifestMeasureSnap, c1, content, cumulativeCouponAmount, date, header, manifestMeasures, manifestMeasureSnap, marketMeasureName, marketMeasureValue, marketValue, r1, setC1, setCumulativeCouponAmount, setDate, setMarketMeasureName, setMarketMeasureValue, setR1, setR1, snapDate

Methods inherited from class java.lang.Object

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

Constructor Details

TreasuryFuturesMarketSnap

public TreasuryFuturesMarketSnap(JulianDate dtSnap,
double dblMarketValue)
                          throws java.lang.Exception

TreasuryFuturesMarketSnap Constructor

Parameters:

dtSnap - The Snapshot Date

dblMarketValue - The Snapshot Market Value

Throws:

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

Method Details

setYieldMarketFactor

public boolean setYieldMarketFactor(double dblYield,
double dblYieldSensitivity,
double dblYieldRollDown)

Set the Yield Level and Position Sensitivity

Parameters:

dblYield - The Yield Level

dblYieldSensitivity - The Position Yield Sensitivity

dblYieldRollDown - The Position Yield Roll Down

Returns:

TRUE - The Yield Level and the Position Sensitivity successfully set

setExpiryDate

public boolean setExpiryDate(JulianDate dtExpiry)

Set the Expiry Date

Parameters:

dtExpiry - The Expiry Date

Returns:

TRUE - The Expiry Date successfully set

expiryDate

public JulianDate expiryDate()

Retrieve the Expiry Date

Returns:

The Expiry Date

setCTDName

public boolean setCTDName(java.lang.String strCTDName)

Set the CTD Bond Name

Parameters:

strCTDName - Name of the CTD Bond

Returns:

TRUE - The CTD Bond Name successfully set

ctdName

public java.lang.String ctdName()

Retrieve the CTD Name

Returns:

The CTD Name

setCleanExpiryPrice

public boolean setCleanExpiryPrice(double dblExpiryCleanPrice)

Set the Clean Expiry Price

Parameters:

dblExpiryCleanPrice - The Clean Price of the CTD at Expiry

Returns:

TRUE - The Clean Expiry Price Successfully Set

expiryCleanPrice

public double expiryCleanPrice()
                        throws java.lang.Exception

Retrieve the Clean Price at Expiry

Returns:

The Clean Price at Expiry

Throws:

java.lang.Exception - Thrown if the Clean Price at Expiry cannot be obtained

setConversionFactor

public boolean setConversionFactor(double dblConversionFactor)

Set the CTD Conversion Factor at Expiry

Parameters:

dblConversionFactor - The Conversion Factor at Expiry

Returns:

TRUE - The CTD Conversion Factor at Expiry Successfully Set

conversionFactor

public double conversionFactor()
                        throws java.lang.Exception

Retrieve the CTD Conversion Factor at Expiry

Returns:

The CTD Conversion Factor at Expiry

Throws:

java.lang.Exception - Thrown if the CTD Conversion Factor cannot be obtained