Package org.drip.market.definition

Class FloaterIndex

java.lang.Object
org.drip.market.definition.FloaterIndex
Direct Known Subclasses:
IBORIndex, OvernightIndex
public abstract class FloaterIndex
extends java.lang.Object
FloaterIndex contains the definitions of the floating rate indexes of different jurisdictions.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FloaterIndex​(java.lang.String strName, java.lang.String strFamily, java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, int iAccrualCompoundingRule)
    FloaterIndex Constructor

  • Method Summary

    Modifier and Type Method Description
    int accrualCompoundingRule()
    Retrieve the Accrual Compounding Rule
    java.lang.String calendar()
    Retrieve the Index Holiday Calendar
    java.lang.String currency()
    Retrieve the Index Currency
    java.lang.String dayCount()
    Retrieve the Index Day Count Convention
    java.lang.String family()
    Retrieve the Index Family
    java.lang.String name()
    Retrieve the Index Name
    abstract int spotLag()
    Retrieve the Index Spot Lag
    DateAdjustParams spotLagDAPBackward()
    Retrieve the Spot Lag DAP with Date Roll Previous
    DateAdjustParams spotLagDAPForward()
    Retrieve the Spot Lag DAP with Date Roll Following

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FloaterIndex

      public FloaterIndex​(java.lang.String strName, java.lang.String strFamily, java.lang.String strCurrency, java.lang.String strDayCount, java.lang.String strCalendar, int iAccrualCompoundingRule) throws java.lang.Exception
      FloaterIndex Constructor
      Parameters:
      strName - Index Name
      strFamily - Index Family
      strCurrency - Index Currency
      strDayCount - Index Day Count
      strCalendar - Index Holiday Calendar
      iAccrualCompoundingRule - Accrual Compounding Rule
      Throws:
      java.lang.Exception - Thrown if Inputs are invalid

  • Method Details

    • name

      public java.lang.String name()
      Retrieve the Index Name
      Returns:
      The Index Name

    • family

      public java.lang.String family()
      Retrieve the Index Family
      Returns:
      The Index Family

    • calendar

      public java.lang.String calendar()
      Retrieve the Index Holiday Calendar
      Returns:
      The Index Holiday Calendar

    • currency

      public java.lang.String currency()
      Retrieve the Index Currency
      Returns:
      The Index Currency

    • dayCount

      public java.lang.String dayCount()
      Retrieve the Index Day Count Convention
      Returns:
      The Index Day Count Convention

    • accrualCompoundingRule

      public int accrualCompoundingRule()
      Retrieve the Accrual Compounding Rule
      Returns:
      The Accrual Compounding Rule

    • spotLagDAPBackward

      public DateAdjustParams spotLagDAPBackward()
      Retrieve the Spot Lag DAP with Date Roll Previous
      Returns:
      The Spot Lag DAP with Date Roll Previous

    • spotLagDAPForward

      public DateAdjustParams spotLagDAPForward()
      Retrieve the Spot Lag DAP with Date Roll Following
      Returns:
      The Spot Lag DAP with Date Roll Following

    • spotLag

      public abstract int spotLag()
      Retrieve the Index Spot Lag
      Returns:
      The Index Spot Lag