Package org.drip.market.exchange

Class TreasuryFuturesEligibility

java.lang.Object
org.drip.market.exchange.TreasuryFuturesEligibility
public class TreasuryFuturesEligibility
extends java.lang.Object
TreasuryFuturesEligibility contains the Eligibility Criterion for a Bond in the Futures Basket of the Exchange-Traded Treasury Futures Contracts.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryFuturesEligibility​(java.lang.String strMaturityFloor, java.lang.String strMaturityCeiling, java.lang.String[] astrIssuer, double dblMinimumOutstandingNotional)
    TreasuryFuturesEligibility Constructor

  • Method Summary

    Modifier and Type Method Description
    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[] issuer()
    Retrieve the Array of Eligible Issuers
    java.lang.String maturityCeiling()
    Retrieve the Eligible Maturity Ceiling
    java.lang.String maturityFloor()
    Retrieve the Eligible Maturity Floor
    double minimumOutstandingNotional()
    Retrieve the Minimum Outstanding Notional
    java.lang.String toString()  

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TreasuryFuturesEligibility

      public TreasuryFuturesEligibility​(java.lang.String strMaturityFloor, java.lang.String strMaturityCeiling, java.lang.String[] astrIssuer, double dblMinimumOutstandingNotional) throws java.lang.Exception
      TreasuryFuturesEligibility Constructor
      Parameters:
      strMaturityFloor - Maturity Floor
      strMaturityCeiling - Maturity Floor
      astrIssuer - Array of Issuers
      dblMinimumOutstandingNotional - Minimum Outstanding Notional
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • maturityFloor

      public java.lang.String maturityFloor()
      Retrieve the Eligible Maturity Floor
      Returns:
      Array of Eligible Maturity Floor

    • maturityCeiling

      public java.lang.String maturityCeiling()
      Retrieve the Eligible Maturity Ceiling
      Returns:
      Array of Eligible Maturity Ceiling

    • issuer

      public java.lang.String[] issuer()
      Retrieve the Array of Eligible Issuers
      Returns:
      Array of Eligible Issuers

    • minimumOutstandingNotional

      public double minimumOutstandingNotional()
      Retrieve the Minimum Outstanding Notional
      Returns:
      The Minimum Outstanding Notional

    • 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