Package org.drip.market.otc

Class CreditIndexConvention

java.lang.Object
org.drip.market.otc.CreditIndexConvention
public class CreditIndexConvention
extends java.lang.Object
CreditIndexConvention contains the details of the Credit Index of an OTC Index CDS Contract.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CreditIndexConvention​(java.lang.String strIndexType, java.lang.String strIndexSubType, java.lang.String strSeriesName, java.lang.String strTenor, java.lang.String strCurrency, JulianDate dtEffective, JulianDate dtMaturity, int iFreq, java.lang.String strDayCount, double dblFixedCoupon, double dblRecoveryRate, int iNumConstituent)
    CreditIndexConvention Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String currency()
    Retrieve the Currency
    java.lang.String dayCount()
    Retrieve the Day Count
    JulianDate effectiveDate()
    Retrieve the Effective Date
    double fixedCoupon()
    Retrieve the Fixed Coupon
    int frequency()
    Retrieve the Coupon Frequency
    java.lang.String fullName()
    Retrieve the Full Name of the Credit Index
    CreditDefaultSwap indexCDS()
    Create an Instance of the Specified Index CDS Product
    java.lang.String indexSubType()
    Retrieve the Index Sub-Type
    java.lang.String indexType()
    Retrieve the Index Type
    JulianDate maturityDate()
    Retrieve the Maturity Date
    int numberOfConstituents()
    Retrieve the Number of Constituents
    double recoveryRate()
    Retrieve the Recovery Rate
    java.lang.String seriesName()
    Retrieve the Series Name
    java.lang.String tenor()
    Retrieve the Tenor

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CreditIndexConvention

      public CreditIndexConvention​(java.lang.String strIndexType, java.lang.String strIndexSubType, java.lang.String strSeriesName, java.lang.String strTenor, java.lang.String strCurrency, JulianDate dtEffective, JulianDate dtMaturity, int iFreq, java.lang.String strDayCount, double dblFixedCoupon, double dblRecoveryRate, int iNumConstituent) throws java.lang.Exception
      CreditIndexConvention Constructor
      Parameters:
      strIndexType - Index Type
      strIndexSubType - Index Sub-Type
      strSeriesName - Series Name
      strTenor - Index Tenor
      strCurrency - Index Currency
      dtEffective - Effective Date
      dtMaturity - Maturity Date
      iFreq - Coupon/Pay Frequency
      strDayCount - Index Day Count
      dblFixedCoupon - Index Fixed Coupon
      dblRecoveryRate - Fixed Recovery Rate
      iNumConstituent - Number of Constituents
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • indexType

      public java.lang.String indexType()
      Retrieve the Index Type
      Returns:
      The Index Type

    • indexSubType

      public java.lang.String indexSubType()
      Retrieve the Index Sub-Type
      Returns:
      The Index Sub-Type

    • seriesName

      public java.lang.String seriesName()
      Retrieve the Series Name
      Returns:
      The Series Name

    • tenor

      public java.lang.String tenor()
      Retrieve the Tenor
      Returns:
      The Tenor

    • currency

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

    • effectiveDate

      public JulianDate effectiveDate()
      Retrieve the Effective Date
      Returns:
      The Effective Date

    • maturityDate

      public JulianDate maturityDate()
      Retrieve the Maturity Date
      Returns:
      The Maturity Date

    • frequency

      public int frequency()
      Retrieve the Coupon Frequency
      Returns:
      The Coupon Frequency

    • dayCount

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

    • fixedCoupon

      public double fixedCoupon()
      Retrieve the Fixed Coupon
      Returns:
      The Fixed Coupon

    • recoveryRate

      public double recoveryRate()
      Retrieve the Recovery Rate
      Returns:
      The Recovery Rate

    • numberOfConstituents

      public int numberOfConstituents()
      Retrieve the Number of Constituents
      Returns:
      The Number of Constituents

    • fullName

      public java.lang.String fullName()
      Retrieve the Full Name of the Credit Index
      Returns:
      The Full Name of the Credit Index

    • indexCDS

      public CreditDefaultSwap indexCDS()
      Create an Instance of the Specified Index CDS Product
      Returns:
      Instance of the Specified Index CDS Product