Package org.drip.market.exchange

Class TreasuryFuturesSettle

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

Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE
    Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures Style
    static int QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR
    Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
    static int QUOTE_REFERENCE_INDEX_FLAT
    Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
    static int SETTLE_TYPE_CASH
    Cash Settled Futures
    static int SETTLE_TYPE_PHYSICAL_DELIVERY
    Physically Settled Futures

  • Constructor Summary

    Constructors
    Constructor Description
    TreasuryFuturesSettle​(int iExpiryFirstDeliveryLag, int iExpiryFinalDeliveryLag, int iExpiryDeliveryNoticeLag, int iExpiryLastTradingLag, int iSettleType, int iSettleQuoteStyle, boolean bWildCardOption, double dblReferenceCouponCurrent, double dblReferenceCouponOriginal, int[] aiDeliveryMonth)
    TreasuryFuturesSettle Constructor

  • Method Summary

    Modifier and Type Method Description
    double currentReferenceYield()
    Retrieve the Current Reference Coupon
    int[] deliveryMonths()
    Retrieve the Delivery Months
    int expiryDeliveryNoticeLag()
    Retrieve the Lag Between the Expiry and the Delivery Notice Dates
    int expiryFinalDeliveryLag()
    Retrieve the Lag Between the Expiry and the Final Delivery Dates
    int expiryFirstDeliveryLag()
    Retrieve the Lag Between the Expiry and the First Delivery Dates
    int expiryLastTradingLag()
    Retrieve the Lag Between the Expiry and the Last Trading Dates
    double originalReferenceCoupon()
    Retrieve the Original Reference Coupon
    int settleQuoteStyle()
    Retrieve the Settle Quote Style
    int settleType()
    Retrieve the Settle Type
    java.lang.String toString()  
    boolean wildCardOption()
    Retrieve the Bond Futures Wild Card Option Setting

    Methods inherited from class java.lang.Object

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

  • Field Details

    • SETTLE_TYPE_CASH

      public static final int SETTLE_TYPE_CASH
      Cash Settled Futures
      See Also:
      Constant Field Values

    • SETTLE_TYPE_PHYSICAL_DELIVERY

      public static final int SETTLE_TYPE_PHYSICAL_DELIVERY
      Physically Settled Futures
      See Also:
      Constant Field Values

    • QUOTE_REFERENCE_INDEX_FLAT

      public static final int QUOTE_REFERENCE_INDEX_FLAT
      Settle Quote Type - AUD Bank Bill Type - Uses a Flat Reference Index
      See Also:
      Constant Field Values

    • QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR

      public static final int QUOTE_REFERENCE_INDEX_CONVERSION_FACTOR
      Settle Quote Type - Uses a Reference Index Based off of Conversion Factor
      See Also:
      Constant Field Values

    • QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE

      public static final int QUOTE_REFERENCE_INDEX_AUD_BOND_FUTURES_STYLE
      Settle Quote Type - Uses a Reference Index Based off of Conversion Factor Computed AUD Bond Futures Style
      See Also:
      Constant Field Values

  • Constructor Details

    • TreasuryFuturesSettle

      public TreasuryFuturesSettle​(int iExpiryFirstDeliveryLag, int iExpiryFinalDeliveryLag, int iExpiryDeliveryNoticeLag, int iExpiryLastTradingLag, int iSettleType, int iSettleQuoteStyle, boolean bWildCardOption, double dblReferenceCouponCurrent, double dblReferenceCouponOriginal, int[] aiDeliveryMonth) throws java.lang.Exception
      TreasuryFuturesSettle Constructor
      Parameters:
      iExpiryFirstDeliveryLag - Lag Between the Expiry and the First Delivery Dates
      iExpiryFinalDeliveryLag - Lag Between the Expiry and the Final Delivery Dates
      iExpiryDeliveryNoticeLag - Lag between the Expiry and the Delivery Notice
      iExpiryLastTradingLag - Lag between the Expiry and the Last Trading Day
      iSettleType - Settlement Type
      iSettleQuoteStyle - Settlement Quote Style
      bWildCardOption - TRUE - Turn ON the Wild Card Option
      dblReferenceCouponCurrent - The Current Reference Coupon
      dblReferenceCouponOriginal - The Original Reference Coupon
      aiDeliveryMonth - Array of the Delivery Months
      Throws:
      java.lang.Exception - Thrown if the Inputs are invalid

  • Method Details

    • expiryFirstDeliveryLag

      public int expiryFirstDeliveryLag()
      Retrieve the Lag Between the Expiry and the First Delivery Dates
      Returns:
      The Lag Between the Expiry and the First Delivery Dates

    • expiryFinalDeliveryLag

      public int expiryFinalDeliveryLag()
      Retrieve the Lag Between the Expiry and the Final Delivery Dates
      Returns:
      The Lag Between the Expiry and the Final Delivery Dates

    • expiryDeliveryNoticeLag

      public int expiryDeliveryNoticeLag()
      Retrieve the Lag Between the Expiry and the Delivery Notice Dates
      Returns:
      The Lag Between the Expiry and the Delivery Notice Dates

    • expiryLastTradingLag

      public int expiryLastTradingLag()
      Retrieve the Lag Between the Expiry and the Last Trading Dates
      Returns:
      The Lag Between the Expiry and the Last Trading Dates

    • settleType

      public int settleType()
      Retrieve the Settle Type
      Returns:
      The Settle Type

    • settleQuoteStyle

      public int settleQuoteStyle()
      Retrieve the Settle Quote Style
      Returns:
      The Settle Quote Style

    • wildCardOption

      public boolean wildCardOption()
      Retrieve the Bond Futures Wild Card Option Setting
      Returns:
      Bond Futures Wild Card Option Setting

    • currentReferenceYield

      public double currentReferenceYield()
      Retrieve the Current Reference Coupon
      Returns:
      The Current Reference Coupon

    • originalReferenceCoupon

      public double originalReferenceCoupon()
      Retrieve the Original Reference Coupon
      Returns:
      The Original Reference Coupon

    • deliveryMonths

      public int[] deliveryMonths()
      Retrieve the Delivery Months
      Returns:
      The Array of Delivery Months

    • toString

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