Package org.drip.historical.engine

Class HorizonChangeExplainProcessor

java.lang.Object
org.drip.historical.engine.HorizonChangeExplainProcessor
Direct Known Subclasses:
FixFloatExplainProcessor, TreasuryBondExplainProcessor
public abstract class HorizonChangeExplainProcessor
extends java.lang.Object
HorizonChangeExplainProcessor holds the Stubs associated with the Computation of the Horizon Position Change Components for the given Product.

Author:
Lakshmi Krishnamurthy

  • Method Details

    • component

      public Component component()
      Retrieve the Component
      Returns:
      The Component

    • settleLag

      public int settleLag()
      Retrieve the Component Settle Lag
      Returns:
      The Component Settle Lag

    • marketMeasureName

      public java.lang.String marketMeasureName()
      Retrieve the Component Market Measure Name
      Returns:
      The Component Market Measure Name

    • marketMeasureValue

      public double marketMeasureValue()
      Retrieve the Component Market Measure Value
      Returns:
      The Component Market Measure Value

    • firstDate

      public JulianDate firstDate()
      Retrieve the First Date of the Horizon Change
      Returns:
      The First Date of the Horizon Change

    • firstMarketParameters

      public CurveSurfaceQuoteContainer firstMarketParameters()
      Retrieve the First Date's Market Parameters
      Returns:
      The First Date's Market Parameters

    • secondDate

      public JulianDate secondDate()
      Retrieve the Second Date of the Horizon Change
      Returns:
      The Second Date of the Horizon Change

    • secondMarketParameters

      public CurveSurfaceQuoteContainer secondMarketParameters()
      Retrieve the Second Date's Market Parameters
      Returns:
      The Second Date's Market Parameters

    • rollDownMarketParameters

      public CaseInsensitiveHashMap<CurveSurfaceQuoteContainer> rollDownMarketParameters()
      Retrieve the Map of the Roll Down Market Parameters
      Returns:
      Map of the Roll Down Market Parameters

    • rollDownMeasureMap

      public MarketMeasureRollDown rollDownMeasureMap()
      Generate the Map of the Roll Down Market Quote Metrics
      Returns:
      Map of the Roll Down Market Quote Metrics

    • metricRollUp

      public double metricRollUp() throws java.lang.Exception
      Generate the Roll Up Version of the Quote Metric
      Returns:
      The Roll Up Version of the Quote Metric
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • snapFirstMarketValue

      public abstract PositionMarketSnap snapFirstMarketValue()
      Generate and Snap Relevant Fields from the First Market Valuation Parameters
      Returns:
      The First Market Parameters Valuation Snapshot

    • updateFixings

      public abstract boolean updateFixings()
      Update the Fixings (if any) to the Second Market Parameters
      Returns:
      TRUE - The Fixings were successfully updated to the Second Market Parameters

    • snapSecondMarketValue

      public abstract PositionMarketSnap snapSecondMarketValue()
      Generate and Snap Relevant Fields from the Second Market Valuation Parameters
      Returns:
      The Second Market Parameters Valuation Snapshot

    • crossHorizonDifferentialMetrics

      public abstract CaseInsensitiveHashMap<java.lang.Double> crossHorizonDifferentialMetrics​(PositionMarketSnap pmsFirst, PositionMarketSnap pmsSecond)
      Generate the Horizon Differential Metrics Map
      Parameters:
      pmsFirst - The First Position Market Snap
      pmsSecond - The Second Position Market Snap
      Returns:
      The Horizon Differential Metrics Map