Package org.drip.market.exchange

Class TreasuryFuturesConvention

java.lang.Object
org.drip.market.exchange.TreasuryFuturesConvention
public class TreasuryFuturesConvention
extends java.lang.Object
TreasuryFuturesConvention contains the Details for the Futures Basket of the Exchange-Traded Treasury Futures Contracts.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryFuturesConvention​(java.lang.String strName, java.lang.String[] astrCode, java.lang.String strCurrency, java.lang.String strCalendar, java.lang.String strMaturityTenor, double dblBasketNotional, double dblMinimumPriceMovement, double dblComponentNotionalMinimum, java.lang.String[] astrExchange, java.lang.String strUnderlierType, java.lang.String strUnderlierSubtype, DateInMonth dimExpiry, TreasuryFuturesEligibility bfe, TreasuryFuturesSettle bfs)
    TreasuryFuturesConvention Constructor

  • Method Summary

    Modifier and Type Method Description
    double basketNotional()
    Retrieve the Treasury Futures Basket Notional
    java.lang.String calendar()
    Retrieve the Treasury Futures Settle Calendar
    java.lang.String[] codes()
    Retrieve the Treasury Futures Code Array
    java.lang.String currency()
    Retrieve the Treasury Futures Currency
    DateInMonth dimExpiry()
    Retrieve the Date In Month Expiry Settings
    TreasuryFuturesEligibility eligibility()
    Retrieve the Treasury Futures Eligibility Settings
    TreasuryFuturesEventDates eventDates​(int iYear, int iMonth)
    Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
    java.lang.String[] exchanges()
    Retrieve the Bond Futures Exchanges Array
    boolean isEligible​(JulianDate dtValue, Bond bond, double dblOutstandingNotional, java.lang.String strIssuer)
    Indicate whether the given bond is eligible to be delivered
    java.lang.String maturityTenor()
    Retrieve the Treasury Futures Maturity Tenor
    double minimumComponentNotional()
    Retrieve the Minimum Treasury Futures Component Notional
    double minimumPriceMovement()
    Retrieve the Minimimum Price Movement - a.k.a Tick
    java.lang.String name()
    Retrieve the Treasury Futures Name
    double referencePrice​(double dblFuturesQuotedIndex)
    Compute the Reference Bond Price from the Quoted Futures Index Level
    double referencePrice​(JulianDate dtValue, Bond bond, double dblFuturesQuotedIndex)
    Compute the Reference Bond Price from the Quoted Futures Index Level
    TreasuryFuturesSettle settle()
    Retrieve the Treasury Futures Settle Settings
    java.lang.String toString()  
    java.lang.String underlierSubtype()
    Retrieve the Treasury Futures Underlier Sub-type
    java.lang.String underlierType()
    Retrieve the Treasury Futures Underlier Type

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TreasuryFuturesConvention

      public TreasuryFuturesConvention​(java.lang.String strName, java.lang.String[] astrCode, java.lang.String strCurrency, java.lang.String strCalendar, java.lang.String strMaturityTenor, double dblBasketNotional, double dblMinimumPriceMovement, double dblComponentNotionalMinimum, java.lang.String[] astrExchange, java.lang.String strUnderlierType, java.lang.String strUnderlierSubtype, DateInMonth dimExpiry, TreasuryFuturesEligibility bfe, TreasuryFuturesSettle bfs) throws java.lang.Exception
      TreasuryFuturesConvention Constructor
      Parameters:
      strName - The Futures Name
      astrCode - The Array of the Futures Codes
      strCurrency - The Futures Currency
      strCalendar - The Futures Settle Calendar
      strMaturityTenor - The Maturity Tenor
      dblBasketNotional - Basket Notional
      dblMinimumPriceMovement - The Minimum Price Movement
      dblComponentNotionalMinimum - The Minimum Component Notional
      astrExchange - Exchange Array
      strUnderlierType - Underlier Type
      strUnderlierSubtype - Underlier Sub-Type
      dimExpiry - The Expiry Date-In-Month Setting
      bfe - Eligibility Settings
      bfs - Settlement Settings
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • name

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

    • calendar

      public java.lang.String calendar()
      Retrieve the Treasury Futures Settle Calendar
      Returns:
      The Treasury Futures Settle Calendar

    • codes

      public java.lang.String[] codes()
      Retrieve the Treasury Futures Code Array
      Returns:
      The Treasury Futures Code Array

    • currency

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

    • maturityTenor

      public java.lang.String maturityTenor()
      Retrieve the Treasury Futures Maturity Tenor
      Returns:
      The Treasury Futures Maturity Tenor

    • basketNotional

      public double basketNotional()
      Retrieve the Treasury Futures Basket Notional
      Returns:
      The Treasury Futures Basket Notional

    • minimumPriceMovement

      public double minimumPriceMovement()
      Retrieve the Minimimum Price Movement - a.k.a Tick
      Returns:
      The Minimum Price Movement

    • minimumComponentNotional

      public double minimumComponentNotional()
      Retrieve the Minimum Treasury Futures Component Notional
      Returns:
      The Minimum Treasury Futures Component Notional

    • exchanges

      public java.lang.String[] exchanges()
      Retrieve the Bond Futures Exchanges Array
      Returns:
      The Bond Futures Exchanges Array

    • underlierType

      public java.lang.String underlierType()
      Retrieve the Treasury Futures Underlier Type
      Returns:
      The Treasury Futures Underlier Type

    • underlierSubtype

      public java.lang.String underlierSubtype()
      Retrieve the Treasury Futures Underlier Sub-type
      Returns:
      The Treasury Futures Underlier Sub-type

    • dimExpiry

      public DateInMonth dimExpiry()
      Retrieve the Date In Month Expiry Settings
      Returns:
      The Date In Month Expiry Settings

    • eligibility

      public TreasuryFuturesEligibility eligibility()
      Retrieve the Treasury Futures Eligibility Settings
      Returns:
      The Treasury Futures Eligibility Settings

    • settle

      public TreasuryFuturesSettle settle()
      Retrieve the Treasury Futures Settle Settings
      Returns:
      The Treasury Futures Settle Settings

    • eventDates

      public TreasuryFuturesEventDates eventDates​(int iYear, int iMonth)
      Retrieve the TreasuryFuturesEventDates Instance corresponding to the Futures Expiry Year/Month
      Parameters:
      iYear - Futures Year
      iMonth - Futures Month
      Returns:
      The TreasuryFuturesEventDates Instance

    • referencePrice

      public double referencePrice​(double dblFuturesQuotedIndex) throws java.lang.Exception
      Compute the Reference Bond Price from the Quoted Futures Index Level
      Parameters:
      dblFuturesQuotedIndex - The Quoted Futures Index Level
      Returns:
      The Reference Price
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

    • referencePrice

      public double referencePrice​(JulianDate dtValue, Bond bond, double dblFuturesQuotedIndex) throws java.lang.Exception
      Compute the Reference Bond Price from the Quoted Futures Index Level
      Parameters:
      dtValue - The Valuation Date
      bond - The Bond Instance
      dblFuturesQuotedIndex - The Quoted Futures Index Level
      Returns:
      The Reference Price
      Throws:
      java.lang.Exception - Thrown if the Treasury Futures Price Generic cannot be computed

    • isEligible

      public boolean isEligible​(JulianDate dtValue, Bond bond, double dblOutstandingNotional, java.lang.String strIssuer)
      Indicate whether the given bond is eligible to be delivered
      Parameters:
      dtValue - The Value Date
      bond - The Bond whose Eligibility is to be evaluated
      dblOutstandingNotional - The Outstanding Notional
      strIssuer - The Issuer
      Returns:
      TRUE - The given bond is eligible to be delivered

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object